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Citations for "Automatic Block-Length Selection for the Dependent Bootstrap"

by Dimitris Politis & Halbert White

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  1. Sobaci, Cihat & Sensoy, Ahmet & Erturk, Mutahhar, 2014. "Impact of short selling activity on market dynamics: Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 15(C), pages 53-62.
  2. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
  3. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers 2009-03, Department of Economics and Business Economics, Aarhus University.
  4. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2008. "Contagion as Domino Effect in Global Stock Markets," ERIM Report Series Research in Management ERS-2008-071-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 1156, Queen's University, Department of Economics.
  6. Fulli-Lemaire, Nicolas, 2012. "A Dynamic Inflation Hedging Trading Strategy Using a CPPI," MPRA Paper 42851, University Library of Munich, Germany, revised 13 Nov 2012.
  7. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
  8. Ahmet Sensoy & Benjamin M. Tabak, 2016. "Dynamic Efficiency of Stock Markets and Exchange Rates," Working Paper 32, Research and Business Development Department, Borsa Istanbul.
  9. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  10. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  11. Bryan Kelly & Alexander Ljungqvist, 2012. "Testing Asymmetric-Information Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1366-1413.
  12. Goncalves, S. & White, H., 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics 24819, London School of Economics and Political Science, LSE Library.
  14. Pouliot, Sébastien & Sumner, Daniel A., 2012. "Differential Impacts of Country of Origin Labeling: COOL Econometric Evidence from Cattle Markets," Working Papers 148593, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  15. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2006. "Bootstrap tests of multiple inequality restrictions on variance ratios," Economics Letters, Elsevier, vol. 91(3), pages 343-348, June.
  16. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  17. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
  18. repec:hal:journl:halshs-00425585 is not listed on IDEAS
  19. Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
  20. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
  21. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  22. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
  23. Della Corte, P. & Sarno, L. & Sestieri, G., 2011. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," Working papers 313, Banque de France.
  24. Ahmet Sensoy & Benjamin M. Tabak, 2013. "How Much Random Does European Union Walk? A Time-Varying Long Memory Analysis," Working Paper 12, Research and Business Development Department, Borsa Istanbul.
  25. Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
  26. Politis, Dimitris, 2005. "Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices," University of California at San Diego, Economics Working Paper Series qt7qg2m9rz, Department of Economics, UC San Diego.
  27. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  28. Ardia, David & Hoogerheide, Lennart F., 2014. "GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts," Economics Letters, Elsevier, vol. 123(2), pages 187-190.
  29. Kim, Sangbae & In, Francis, 2012. "False discoveries in volatility timing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2083-2094.
  30. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
  31. Fang, Ying & Li, Qi & Wu, Ximing & Zhang, Daiqiang, 2015. "A data-driven smooth test of symmetry," Journal of Econometrics, Elsevier, vol. 188(2), pages 490-501.
  32. Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu, 2015. "Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 864, December.
  33. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  34. Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012. "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 346-356.
  35. Nicol\'o Musmeci & Tomaso Aste & Tiziana Di Matteo, 2016. "What does past correlation structure tell us about the future? An answer from network filtering," Papers 1605.08908, arXiv.org.
  36. Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2015. "Estimating the long rate and its volatility," Economics Letters, Elsevier, vol. 129(C), pages 100-102.
  37. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
  38. Paya, Ivan & Peel, David A. & Spiru, Alina, 2010. "The forward premium puzzle in the interwar period and deviations from covered interest parity," Economics Letters, Elsevier, vol. 108(1), pages 55-57, July.
  39. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  40. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
  41. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  42. McMurry, Timothy L & Politis, D N, 2010. "Banded and Tapered Estimates for Autocovariance Matrices and the Linear Process Bootstrap," University of California at San Diego, Economics Working Paper Series qt5h9259mb, Department of Economics, UC San Diego.
  43. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," CAMA Working Papers 2011-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  44. Simon Price & Christoph Schleicher, 2006. "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England.
  45. Abhyankar, Abhay & Chen, Hsuan-Chi & Ho, Keng-Yu, 2006. "The long-run performance of initial public offerings: Stochastic dominance criteria," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 620-637, September.
  46. David Ardia & Kris Boudt, 2013. "The Peer Performance of Hedge Funds," Cahiers de recherche 1329, CIRPEE.
  47. Ruiz, Esther & Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
  48. Ivan Kojadinovic & Jean-François Quessy & Tom Rohmer, 2016. "Testing the constancy of Spearman’s rho in multivariate time series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(5), pages 929-954, October.
  49. Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
  50. Pasquale Cirillo & Pietro Muliere, 2013. "An urn-based Bayesian block bootstrap," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 93-106, January.
  51. Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
  52. Kim, Sangbae & In, Francis & Ji, Philip Inyeob & Park, Raphael Jonghyeon, 2014. "False discoveries in the performance of Australian managed funds," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 244-256.
  53. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
  54. Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
  55. Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2013. "Relevant States and Memory in Markov Chain Bootstrapping and Simulation," MPRA Paper 46250, University Library of Munich, Germany.
  56. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
  57. Shin, Dong Wan & Hwang, Eunju, 2013. "Stationary bootstrapping for cointegrating regressions," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 474-480.
  58. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
  59. Ching-Chuan Tsong, 2009. "Assessing the Accuracy of Event Forecasts," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 219-240, July.
  60. Sylvain Barde, 2015. "Direct calibration and comparison of agent-based herding models of financial markets," Studies in Economics 1507, School of Economics, University of Kent.
  61. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.
  62. Nomikos, Nikos K. & Doctor, Kaizad, 2013. "Economic significance of market timing rules in the Forward Freight Agreement markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 77-93.
  63. Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
  64. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
  65. Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
  66. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
  67. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  68. Yang, Haisheng & He, Jie & Chen, Shaoling, 2015. "The fragility of the Environmental Kuznets Curve: Revisiting the hypothesis with Chinese data via an “Extreme Bound Analysis”," Ecological Economics, Elsevier, vol. 109(C), pages 41-58.
  69. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 30-42.
  70. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
  71. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2014. "Where is the value added of rebalancing? A systematic comparison of alternative rebalancing strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 209-231, August.
  72. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2011. "Cross-sectional dependence robust block bootstrap panel unit root tests," Journal of Econometrics, Elsevier, vol. 163(1), pages 85-104, July.
  73. Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.
  74. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  75. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank, Research Centre.
  76. Politis, D N, 2009. "Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices," University of California at San Diego, Economics Working Paper Series qt66w826hz, Department of Economics, UC San Diego.
  77. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
  78. Zhou, Jian & Nicholson, Joseph R., 2015. "Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications," Economic Modelling, Elsevier, vol. 45(C), pages 14-21.
  79. Politis, Dimitris N. & Romano, Joseph P., 2010. "K-sample subsampling in general spaces: The case of independent time series," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 316-326, February.
  80. Mengoli, Stefano, 2004. "On the source of contrarian and momentum strategies in the Italian equity market," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 301-331.
  81. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
  82. esposito, francesco paolo & cummins, mark, 2015. "Multiple hypothesis testing of market risk forecasting models," MPRA Paper 64986, University Library of Munich, Germany.
  83. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  84. Bruno Larue & Jean-Philippe Gervais & Yannick Rancourt, 2010. "Exchange rate pass-through, menu costs and threshold cointegration," Empirical Economics, Springer, vol. 38(1), pages 171-192, February.
  85. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
  86. Fulli-Lemaire, Nicolas, 2013. "Alternative inflation hedging strategies for ALM," MPRA Paper 43755, University Library of Munich, Germany.
  87. Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, Department of Economics and Business Economics, Aarhus University.
  88. Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Emory Economics 0806, Department of Economics, Emory University (Atlanta).
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